That works, but only if I want it applied to everything that comes into my account. Let me make up a few example e-mails to show the limitation:

First message:
To: [email protected], [email protected]
Cc: [email protected]
Subject: Important A thing

Second message:
To: [email protected], [email protected]
Subject: Something about B

Third message:
To: [email protected]
Cc: [email protected]
Subject: C is the place to be

Lets say I have a filter that says To: [email protected], Skip the Inbox, Apply a label "A".
And one that says To: [email protected], Skip the Inbox, Apply a label "B".

So far so good, all the message above would skip the inbox, and have labels applied. (Double checking here, GMail is missing a specific Cc field, but I believe it caught them anyhow if it was a To rule)

Now, how do I set up rules to do the following:
I want the first message in my inbox, but not the second or third message. This is doable in Exchange, along with my IMAP setup where I use sieve. The rule in Exchange looks like this:

Sent to: [email protected]
Move to the ListA folder
Except where: my name is in the To or Cc box (also useful, there is just a separate choice with just To or just Cc)
Stop processing more rules

The key part here is the "except where" ability of rules to create exceptions.